I always give my local retailer the opportunity to match price, and most of the time they can.
If you don't throw some business their way once in a while, they might not be there the next time you need a mic cable or guitar strings for a gig that night. Between the giant chains and online retailers, the traditional mom 'n pop music store has become an endangered species.
But if I ever do want to buy hardware online, Sweetwater is where I go. As with any retailer, their recommendations are often based on margins, sales incentives and manufacturer promotions. However, their liberal return policy removes the risk of buying something you haven't actually held in your hands first.